135 lines
4.1 KiB
Modula-2
135 lines
4.1 KiB
Modula-2
addpath ..
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var y x;
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varexo e;
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parameters beta theta rho xbar;
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xbar = 0.0179;
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rho = -0.139;
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theta = -1.5;
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beta = 0.95;
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model(use_dll);
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1 = beta*exp(theta*x(+1))*(1+y(+1))/y;
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x = (1-rho)*xbar + rho*x(-1)+e;
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end;
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shocks;
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var e; stderr 0.0348;
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end;
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initval;
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x = xbar;
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y = beta*exp(theta*xbar)/(1-beta*exp(theta*xbar));
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end;
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resid;
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steady;
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if beta*exp(theta*xbar+.5*theta^2*M_.Sigma_e/(1-rho)^2)>1-eps
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disp('The model doesn''t have a solution!')
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return
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end
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set_dynare_seed('default');
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stoch_simul(order=1,irf=0,periods=201);
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y_perturbation_1 = oo_.endo_simul(1,:)';
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set_dynare_seed('default');
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stoch_simul(order=2,irf=0,periods=201);
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y_perturbation_2 = oo_.endo_simul(1,:)';
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set_dynare_seed('default');
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stoch_simul(order=2,pruning,irf=0,periods=201);
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y_perturbation_2_pruning = oo_.endo_simul(1,:)';
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options_.simul.maxit = 100;
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set_dynare_seed('default');
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ytrue=exact_solution(M_,oo_, 800);
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set_dynare_seed('default');
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options_.ep.stochastic.order = 0;
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ts = extended_path([], 200, [], options_, M_, oo_);
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set_dynare_seed('default');
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options_.ep.stochastic.order = 2;
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options_.ep.stochastic.IntegrationAlgorithm='Stroud-Cubature-3';//'Unscented'; //'Tensor-Gaussian-Quadrature';
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options_.ep.stochastic.quadrature.nodes = 3;
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ts1_4 = extended_path([], 200, [], options_, M_, oo_);
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set_dynare_seed('default');
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options_.ep.stochastic.order = 4;
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options_.ep.stochastic.IntegrationAlgorithm='Stroud-Cubature-3';//'Unscented'; //'Tensor-Gaussian-Quadrature';
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options_.ep.stochastic.quadrature.nodes = 3;
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ts1_8 = extended_path([], 200, [], options_, M_, oo_);
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set_dynare_seed('default');
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options_.ep.stochastic.order = 6;
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options_.ep.stochastic.IntegrationAlgorithm='Stroud-Cubature-3';//'Unscented'; //'Tensor-Gaussian-Quadrature';
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options_.ep.stochastic.quadrature.nodes = 3;
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ts1_12 = extended_path([], 200, [], options_, M_, oo_);
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set_dynare_seed('default');
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options_.ep.stochastic.order = 8;
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options_.ep.stochastic.IntegrationAlgorithm='Stroud-Cubature-3';//'Unscented'; //'Tensor-Gaussian-Quadrature';
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options_.ep.stochastic.quadrature.nodes = 3;
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ts1_16 = extended_path([], 200, [], options_, M_, oo_);
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disp('True mean and standard deviation')
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disp(mean(ytrue(101:end)))
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disp(sqrt(var(ytrue(101:end))))
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disp('Order 1 perturbation mean and standard deviation')
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disp(mean(y_perturbation_1(101:end)))
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disp(sqrt(var(y_perturbation_1(101:end))))
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disp('Order 2 perturbation mean and standard deviation')
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disp(mean(y_perturbation_2(101:end)))
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disp(sqrt(var(y_perturbation_2(101:end))))
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disp('Order 2 perturbation (with pruning) mean and standard deviation')
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disp(mean(y_perturbation_2_pruning(101:end)))
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disp(sqrt(var(y_perturbation_2_pruning(101:end))))
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disp('Extended path mean and standard deviation')
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disp(mean(ts.data(101:end,1)))
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disp(sqrt(var(ts.data(101:end,1))))
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disp('Stochastic extended path mean and standard deviation')
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disp(mean(ts1_4.data(101:end,1)))
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disp(sqrt(var(ts1_4.data(101:end,1))))
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disp('Accuracy error (order 1 perturbation)')
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disp(mean(100*abs(y_perturbation_1-ytrue')./ytrue'));
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disp(max(100*abs(y_perturbation_1-ytrue')./ytrue'));
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disp('Accuracy error (order 2 perturbation)')
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disp(mean(100*abs(y_perturbation_2-ytrue')./ytrue'));
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disp(max(100*abs(y_perturbation_2-ytrue')./ytrue'));
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disp('Accuracy error (order 2 perturbation with pruning)')
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disp(100*mean(abs(y_perturbation_2_pruning-ytrue')./ytrue'));
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disp(100*max(abs(y_perturbation_2_pruning-ytrue')./ytrue'));
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disp('Accuracy error (extended path)')
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disp(mean(100*abs(ts.data(:,1)-ytrue')./ytrue'));
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disp(max(100*abs(ts.data(:,1)-ytrue')./ytrue'));
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disp('Accuracy error (stochastic extended path (order=2))')
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disp(mean(100*abs(ts1_4.data(:,1)-ytrue')./ytrue'));
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disp(max(100*abs(ts1_4.data(:,1)-ytrue')./ytrue'));
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disp('Accuracy error (stochastic extended path (order=4))')
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disp(mean(100*abs(ts1_8.data(:,1)-ytrue')./ytrue'));
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disp(max(100*abs(ts1_8.data(:,1)-ytrue')./ytrue'));
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disp('Accuracy error (stochastic extended path (order=6))')
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disp(mean(100*abs(ts1_12.data(:,1)-ytrue')./ytrue'));
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disp(max(100*abs(ts1_12.data(:,1)-ytrue')./ytrue'));
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disp('Accuracy error (stochastic extended path (order=8))')
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disp(mean(100*abs(ts1_16.data(:,1)-ytrue')./ytrue'));
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disp(max(100*abs(ts1_16.data(:,1)-ytrue')./ytrue'));
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